Michael Johannes

Dikutip oleh

	Semua	Sejak 2020
Kutipan	7112	1825
indeks-h	20	15
indeks-i10	23	15

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Pengarang bersama

Nick PolsonProfessor of Econometrics and Statistics, University of ChicagoEmail yang diverifikasi di chicagobooth.edu
Jonathan R. StroudAssociate Professor, Georgetown University, McDonough School of BusinessEmail yang diverifikasi di georgetown.edu
Lars A. LochstoerProfessor of Finance, UCLA Anderson School of ManagementEmail yang diverifikasi di anderson.ucla.edu
Mikhail ChernovUniversity of California, Los AngelesEmail yang diverifikasi di anderson.ucla.edu
Mark BroadieColumbia Business SchoolEmail yang diverifikasi di columbia.edu
Pierre Collin DufresneEmail yang diverifikasi di epfl.ch
Bjorn ErakerUniversity of WisconsinEmail yang diverifikasi di bus.wisc.edu
Hedibert Freitas LopesProfessor of Statistics and Econometrics - INSPER Institute of Education and ResearchEmail yang diverifikasi di insper.edu.br
Arthur KortewegAssociate Professor of Finance and Business EconomicsEmail yang diverifikasi di marshall.usc.edu
Carlos M. CarvalhoThe University of Texas at AustinEmail yang diverifikasi di mccombs.utexas.edu
Norman J. SeegerVrije Universiteit AmsterdamEmail yang diverifikasi di vu.nl
Suresh SundaresanColumbia UniversityEmail yang diverifikasi di columbia.edu
Andreas KaeckProfessor of Finance, University of SussexEmail yang diverifikasi di sussex.ac.uk

Ikuti

Michael Johannes

Professor of Finance, Columbia University

Email yang diverifikasi di gsb.columbia.edu

Finance


Judul Urutkan menurut kutipan Urutkan menurut tahun Urutkan menurut judul	Dikutip oleh Dikutip oleh	Tahun
The impact of jumps in volatility and returns B Eraker, M Johannes, N Polson The Journal of Finance 58 (3), 1269-1300, 2003	2141*	2003
Model specification and risk premia: Evidence from futures options M Broadie, M Chernov, M Johannes The Journal of Finance 62 (3), 1453-1490, 2007	779	2007
The statistical and economic role of jumps in continuous‐time interest rate models M Johannes The Journal of finance 59 (1), 227-260, 2004	677	2004
MCMC methods for continuous-time financial econometrics M Johannes, N Polson Handbook of financial econometrics: Applications, 1-72, 2010	499	2010
Particle learning and smoothing CM Carvalho, MS Johannes, HF Lopes, NG Polson	494	2010
Understanding index option returns M Broadie, M Chernov, M Johannes The Review of Financial Studies 22 (11), 4493-4529, 2009	386	2009
Optimal filtering of jump diffusions: Extracting latent states from asset prices MS Johannes, NG Polson, JR Stroud The Review of Financial Studies 22 (7), 2759-2799, 2009	326*	2009
Parameter learning in general equilibrium: The asset pricing implications P Collin-Dufresne, M Johannes, LA Lochstoer American Economic Review 106 (3), 664-698, 2016	296	2016
Sequential learning, predictability, and optimal portfolio returns M Johannes, A Korteweg, N Polson The Journal of Finance 69 (2), 611-644, 2014	276	2014
Option pricing of earnings announcement risks A Dubinsky, M Johannes, A Kaeck, NJ Seeger The Review of Financial Studies 32 (2), 646-687, 2019	222*	2019
The impact of collateralization on swap rates M Johannes, S Sundaresan The Journal of Finance 62 (1), 383-410, 2007	174*	2007
Learning about consumption dynamics M Johannes, LA Lochstoer, Y Mou The Journal of finance 71 (2), 551-600, 2016	145	2016
MCMC maximum likelihood for latent state models E Jacquier, M Johannes, N Polson Journal of Econometrics 137 (2), 615-640, 2007	141	2007
Asset pricing when ‘this time is different’ P Collin-Dufresne, M Johannes, LA Lochstoer The Review of Financial Studies 30 (2), 505-535, 2017	98	2017
Sequential optimal portfolio performance: Market and volatility timing MS Johannes, N Polson, JR Stroud Available at SSRN 304976, 2002	90	2002
Particle learning for sequential Bayesian computation J Bernardo, M Bayarri, J Berger, A Dawid, D Heckerman, A Smith, M West Bayesian statistics 9 (9), 317, 2011	86	2011
Particle filtering M Johannes, N Polson Handbook of financial time series, 1015-1029, 2009	58	2009
Bayesian modeling and forecasting of 24-hour high-frequency volatility JR Stroud, MS Johannes Journal of the American Statistical Association 109 (508), 1368-1384, 2014	56*	2014
State dependent jump models: How do US equity indices jump M Johannes, R Kumar, NG Polson Woking Paper, University of Chicago, 1999	56	1999
Sequential parameter estimation in stochastic volatility models with jumps M Johannes, N Polson, J Stroud Wharton School, University of Pennsylvania, Philadelphia, PA, 2006	35	2006

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